NSE cash L20/L200 stops during CAS (Closing Auction Session) while futures depth continues

chandra · August 4, 2026, 11:30pm

NSE cash L20/L200 stops during CAS while futures depth continues

Hello DhanHQ team and DhanHQ API users,

I am looking for a protocol-level clarification regarding Full Market Depth during the new NSE Closing Auction Session.

On August 4, 2026, I captured DhanHQ market data continuously from 08:45 IST to 16:05 IST using:

One normal Full Market Feed WebSocket
Five L20 WebSockets
Five L200 WebSockets
841 instruments on the normal Full feed
212 instruments on L20
Five NSE cash instruments on L200

Capture health

The capture completed without an infrastructure or connectivity failure:

Expected sockets: 11
Maximum sockets connected: 11
Messages received: 21,919,801
Bytes received: 16,701,996,750
Rows written: 9,698,179
Reconnects: 0
Socket/parser errors: 0
Dropped rows: 0
Writer failures: 0
Host-suspend gaps: 0 seconds

Observed NSE cash-depth timeline

For 208 CAS-eligible NSE cash equities:

Cash L20 was active through the CAS reference period.
The final cash L20 activity occurred at approximately 15:15:15.659 IST.
The final L200 cash activity occurred at approximately 15:15:12.168 IST.
No NSE cash L20 events were received during the actual CAS auction period.
No NSE cash L200 events were received during the actual CAS auction period.
Cash L20 resumed at approximately 15:50:00.448 IST.
Cash L200 resumed at approximately 15:50:00.527 IST.

Why this does not appear to be a general WebSocket outage

Four NSE index futures were subscribed to L20 simultaneously.

During the same CAS auction period:

Index-future L20 continued updating normally.
It produced 26,024 bid-and-ask event rows.
All 11 WebSockets remained connected.
No reconnects or errors occurred.
The cash subscriptions resumed later without being recreated.

The observed sequence was therefore:

15:00:00–15:14:59  NSE cash L20/L200 active
15:15:00–15:15:15  Final short cash-depth burst
15:20:00–15:29:xx  CAS auction: no cash L20/L200 events
15:20:00–15:29:xx  NSE index-future L20 continued
15:50:00            NSE cash L20/L200 resumed

Normal Full-feed behavior

The normal Full feed continued to deliver a limited number of packets for all 208 NSE cash instruments during CAS.

Each instrument received approximately two to five Full packets during the auction phase. Many instruments ended with a decoded exchange last-trade time corresponding to approximately 15:28:21 IST.

This suggests that the normal Full feed may carry an indicative-price, aggregate-auction or final-match update even though L20/L200 does not expose the auction book.

Clarifications requested from DhanHQ

Could the DhanHQ market-data team please clarify:

Is NSE cash auction depth intentionally excluded from L20 and L200 during CAS?
Does NSE provide the CAS auction order book to Dhan through a separate exchange feed?
During CAS, does the normal Full-feed LTP field represent the Indicative Equilibrium Price?
What do these Full-feed fields represent during CAS?
- Last traded price
- Last trade time
- Total buy quantity
- Total sell quantity
- Cumulative volume
- Five-level depth
Are these CAS fields available through any DhanHQ REST or WebSocket interface?
- Indicative Equilibrium Price
- Indicative Matched Quantity
- Total auction buy quantity
- Total auction sell quantity
- Order imbalance quantity and side
Is a CAS-specific packet type or response code planned?
Should NSE cash L20/L200 silence between approximately 15:15 and 15:50 be treated as expected behavior rather than a feed outage?

Request to other API users

Has anyone else captured NSE cash L20 or L200 during CAS?

Useful comparison points would be:

final cash-depth timestamp before CAS;
whether derivatives depth continued;
whether cash depth resumed at 15:50;
whether Market Quote or another REST endpoint exposed CAS-specific fields;
whether the same behavior occurred on August 3, August 4 or later sessions.

I can provide the DhanHQ engineering team with:

session START and END manifests;
per-socket health records;
exact packet-boundary timestamps;
aggregate Full-feed results for all 208 instruments;
selected raw framed L200 packets;
packet-decoder definitions and evidence hashes.

No credentials, access tokens or private account information will be posted publicly.

This is not intended as a generic outage complaint. I am requesting a documented market-data contract so API users can determine whether reconstruction of the CAS auction book is possible through DhanHQ.

chandra · August 4, 2026, 11:53pm

Clarification regarding the capture totals in my original post

The August 4 figures came from one trading date and one continuous WebSocket session, not from two independent trading sessions.

All 11 WebSockets remained connected from 08:45 to 16:05 IST. The message and byte counters therefore cover the complete 7-hour-20-minute connected period:

21,919,801 WebSocket messages received
16,701,996,750 network bytes received

To control storage, market-event persistence was enabled only during two configured observation windows:

08:55–09:30 IST
14:30–16:05 IST

These windows total 130 minutes. The reported 9,698,179 database rows are the persisted market and operational records from those configured windows, rather than a one-row-per-WebSocket-message count for the entire day.

The CAS finding itself is based on exact packet-boundary timestamps and a simultaneous control:

NSE cash L20/L200 stopped during CAS;
NSE index-future L20 continued through the same period;
all 11 sockets remained connected;
there were zero reconnects, parser errors, dropped rows, writer failures or host gaps;
cash depth resumed without resubscription at approximately 15:50 IST.

This is currently a single-day observation. I am continuing the same controlled capture on later sessions to test reproducibility.

chandra · August 6, 2026, 5:05pm

Update after three controlled CAS capture sessions — August 4, 5 and 6

I repeated the same controlled capture across three trading dates.

Observed NSE cash L20 behavior during CAS

August 4: no cash L20 events during the auction interval.
August 5: 14 database rows from only two cash symbols. These represented repeated/static bid and ask books with message sequence zero, not a continuously evolving auction book.
August 6: 8 database rows from one cash symbol. These represented the same complete bid/ask book repeated four times over approximately 0.6 seconds, again with message sequence zero and no demonstrated book evolution.

In contrast, derivative depth continued normally during CAS. On August 6 alone, the same CAS interval contained:

28,010 index-future L20 events
174,772 stock-future L20 events

The August 6 session recorded six recovered reconnects, but all occurred before CAS. The last was at 14:53:42 IST, all 11 sockets were restored before 15:00 IST, and no further reconnect increment occurred during the CAS phases. Host gaps, dropped rows and writer failures remained zero.

The REST /v2/marketfeed/quote probe also completed 222 successful HTTP 200 snapshots. The responses contained standard quote and five-level-depth fields, but I did not find documented CAS-specific fields equivalent to indicative equilibrium price, matched quantity, imbalance or reference-limit price.

Current conclusion

Across three controlled sessions, Dhan’s NSE cash L20/L200 feed did not provide a continuously evolving CAS auction book. Isolated cash packets were static or duplicate refreshes, while futures depth continued normally.

Could Dhan please confirm:

Is NSE cash CAS auction depth intentionally unavailable through L20/L200?
Which Dhan API endpoint and fields provide the CAS reference-limit price, indicative equilibrium price, matched quantity and buy/sell imbalance?
Are any CAS-specific Quote API fields planned or already available but undocumented?